Trend Following Strategy (Full S&P 500)

Trend Following Strategy (Full S&P 500) - Quantitative Strategy Performance Report

Period: 2014-06-16 - 2025-07-16 Report generated: 2025-07-23 Code version: v2.0.0

Executive Summary

Strategy Overview

Strategy: Trend Following Strategy (Full S&P 500)
Period: 2014-06-16 to 2025-07-16
Total Trades: 86798

Strategy Performance

Total Return 8.93%
Annualized Return 0.78%
Volatility 6.93%
Sharpe Ratio -0.14
Max Drawdown -13.71%

Strategy Risk Profile

Beta vs Benchmark -0.0074
Alpha vs Benchmark -1.16%
VaR (95%) -0.75%
Win Rate (Daily) 34.9%

Key Insights

  • Risk-adjusted returns below target levels
  • Reasonable drawdown control with maximum drawdown under 20%
  • Low win rate suggesting need for signal improvement
  • Negative alpha suggesting benchmark underperformance

Strategy Overview

Strategy Characteristics

Strategy Type: Statistical Arbitrage
Asset Class: Equities
Trading Universe: S&P 500
Signal Frequency: High Frequency (1000+ trades/year)
Holding Period: Short-term (<5 days)
Leverage: No leverage (100% cash)

Backtest Parameters

Start Date: 2014-06-16
End Date: 2025-07-16
Total Days: 4048
Initial Capital: $100,000
Data Source: Yahoo Finance

Execution Assumptions

Slippage: N/A (Not implemented)
Commission: N/A (Not implemented)
Liquidity Filters: N/A (Not implemented)
Execution Quality: N/A (Not implemented)

Strategy Description

This statistical arbitrage strategy operates in the equities market with a focus on S&P 500. The strategy employs high frequency (1000+ trades/year) signals with short-term (<5 days) holding periods, designed to capture market inefficiencies through systematic analysis of price patterns and market dynamics.

The backtest covers a 4048-day period from 2014-06-16 to 2025-07-16, starting with $100,000 in initial capital. The strategy would have led to a final value of $108,929, representing a 8.9% return over the 4048-day backtest period. Execution costs and implementation details are not yet implemented in this backtest framework.

Key Performance Metrics - Strategy vs Benchmark

Strategy Performance

Metric Strategy Benchmark
(S&P 500)
Cumulative Return8.93%223.93%
Annualized Return0.78%11.21%
Alpha-1.16%0.00%
Sharpe Ratio-0.140.63
Sortino Ratio-0.170.79
Calmar Ratio-0.070.35
Beta-0.00741.00

Strategy Risk Profile

Metric Strategy Benchmark
(S&P 500)
Volatility (Ann.)6.93%15.67%
Max Drawdown-13.71%-32.24%
Value-at-Risk (95%)-0.75%-1.58%
Value-at-Risk (99%)-1.29%-2.99%
Tail Risk-1.11%-2.42%
Win Rate (Daily)34.9%56.3%
Turnover8.03N/A

Period Performance - Strategy vs Benchmark

Note: All returns below are annualized (projected annual rate). For actual cumulative returns, see the Performance Chart above.

Period Return (Annualized) Volatility (Annualized)
Strategy Benchmark Strategy Benchmark
MTD 8.21% 27.00% 5.08% 6.88%
YTD 1.85% 10.85% 6.40% 23.78%
1Y -3.60% 10.93% 6.72% 19.70%
3Y 1.73% 17.90% 6.58% 16.69%
5Y -0.20% 14.28% 7.51% 16.55%
All Time 0.77% 11.18% 6.93% 15.67%

Performance Charts

Cumulative Performance (Base 100) - Strategy vs Benchmark

Performance Overview

Cumulative Drawdown from Peak

Note: Shows drawdown from the highest point reached. Negative values indicate decline from peak.

Returns Distribution

Note: Distribution of daily returns. Helps identify return patterns and outliers.

Risk & Volatility Analysis

Rolling Sharpe Ratio (60-Day Window)

Note: 60-day rolling window, annualized. Window adjusts for shorter datasets.

Rolling Beta (60-Day Window)

Note: 60-day rolling window. Shows how strategy's sensitivity to benchmark changes over time.

Correlation & Exposure Analysis

Strategy vs Benchmark Returns Scatter

Beta Calculation: β = Cov(Strategy Returns, Benchmark Returns) / Var(Benchmark Returns)

Portfolio Exposure Over Time

Note: Shows portfolio exposure and allocation changes over time.

Advanced Risk Metrics

Value-at-Risk Over Time

Calculation Method: 30-day rolling window historical VaR (5th percentile). The step-like appearance occurs because VaR changes only when the worst return in the rolling window changes. Note: Shows potential loss estimates at 95% confidence level.

Trade/Signal Summary

Signal Analysis

Metric Value
Daily Signal Hit Rate54.6%
Signals per Month19.6
Position Balance1.00
Daily Turnover0.032
Daily Signal Hit Rate: Percentage of days with active signals that generated positive returns.
Signals per Month: Average number of trading days per month with active positions.
Position Balance: How evenly distributed positions are between assets (0=unbalanced, 1=perfectly balanced).
Daily Turnover: Average daily change in position sizes.

Trade Execution

Metric Value
Total Trades Executed86798
Win Rate34.9%
Avg PnL per Trade0.0000 (≈$0)
Annualized Turnover8.0
Win Rate: Percentage of profitable trades (different from signal hit rate).
Avg PnL per Trade: Average profit/loss per trade in portfolio units.
Annualized Turnover: Total position changes per year.
Data Source: Actual Signals

Notes & Metadata

Additional Notes

This report was generated using historical data and backtest results.